Let X and Y be two independent random variables. Which one of the relations between expectation (E), variance (Var) and covariance (Cov) given below is FALSE?
A. E(XY) = E(X) E(Y)
B. Cov (X, Y) = 0
C. Var (X + Y) = Var (X) + Var (Y)
D. E(X2Y2) = (E(X))2 (E(Y))2
Answer: Option D

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